equity tranche为什么有时候会被机构自留？

问题如下：

The originating financial institution often maintains a portion of the risk in securitization, which allowed off-balance accounting and thus lowers risk and the required regulatory capital.

Which of the following terms best identify the risk that is maintained by the originator?

选项：

A.

Correlation.

B.

Excess spread.

C.

First-loss piece.

D.

Guarantor of collateral value.

解释：

C is correct.

考点：Securitization

解析：

证券化产品分为不同的tranche，最底层的equity层，一旦有loss，是第一个被牺牲掉的。它的质量最差，所以这个equity tranche有时会被机构自留。这在本题中被称作了firtt-loss piece。